Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations

UID/MAT/00297/2019 S020/10264/17 EP/L016508/01

Bibliographic Details
Main Author: dos Reis, Gonçalo (author)
Other Authors: Pfeuffer, M. (author), Smith, Greig (author)
Format: article
Language:eng
Published: 2021
Subjects:
Confidence intervals
Generator matrix
Markov chain
Point-process
Primary: 60G55
Rating momentum
Secondary: 62F15, 91G40
Finance
Economics, Econometrics and Finance(all)
Online Access:http://hdl.handle.net/10362/120025
Country:Portugal
Oai:oai:run.unl.pt:10362/120025

Internet

http://hdl.handle.net/10362/120025

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